TSP (libtsp) - SPcovar

SPcovar

Routine

void SPcovar (x, Nx, Cov, Np)

Purpose

Calculate a correlation (covariance) matrix for a data sequence

Description

This routine fills in the elements of a correlation matrix given an array of data. The elements of the matrix are calculated as

           N+Np-1
  C(i,j) =  SUM x(n-i) x(n-j) ,    0 <= i,j <= Np
            n=Np

where Np is the number of correlation lags and N is the number of terms in each correlation calculation. To compute the correlation terms, the following recursion is used,

  C(i,j) = C(i-1,j-1) + x(Np-i) x(Np-j) - x(N+Np-i) x(N+Np-j) ,

starting from C(i,0)=C(0,i). Note that finite precision effects in calculating the recursion can result in a non-positive definite matrix.

Parameters

-> const float x[]: Input data (Nx elements). The first Np values normally represent data from a previous frame of data.
-> int Nx: Number of data elements. Nx=N+Np, where N is the number of terms in each correlation sum and Np is the number of correlation lags to be calculated. Note that Nx must be larger than Np.
<- float *Cov[]: Cov is an array of pointers to the rows of a Np+1 by Np+1 matrix. On return, the (symmetric) matrix contains the correlation values.
-> int Np: Maximum correlation lag

Author / revision